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ENH: Pass calendar instance to BcolzMinuteBarWriter (#1406)
* First pass. * Improvements and fixes - Update usages of BcolzMinuteBarWriter - Updates with rebuilt example data - Expose calendar from BcolzMinuteBarMetadata instead of calendar_name - Keep market_opens and market_closes in metadata for compatibility * Store start_session and end_session in minute bcolz metadata - start_session replaces first_trading_day - Add end_session to limit to correct days * For last_available_dt, get last close from calendar to maintain tz * Bumps version and handles earlier versionson read * Rebuilt example data on python 3 * Indicate metadata fields that are deprecated
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@@ -80,10 +80,10 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
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self.dest = self.instance_tmpdir.getpath('minute_bars')
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os.makedirs(self.dest)
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self.writer = BcolzMinuteBarWriter(
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TEST_CALENDAR_START,
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self.dest,
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self.market_opens,
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self.market_closes,
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self.trading_calendar,
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TEST_CALENDAR_START,
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TEST_CALENDAR_STOP,
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US_EQUITIES_MINUTES_PER_DAY,
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)
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self.reader = BcolzMinuteBarReader(self.dest)
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